I reinstalled the game 3 times, and manually downloaded the dll and put it in System32. Still not working. Does anyone have a solution?

Never download single DLLs and put them into System32! There's a very high risk of getting some malware or viruses on your system! Delete the file and install the DirectX End-User Runtimes (June 2010) from Microsoft, the file you're looking for is included:
http://www.microsoft.com/en-us/download/details.aspx?id=8109

Run the downloaded file and extract the content to a separate folder, then go there and run DXSETUP.exe to start the installation.

This error message could also be connected to GeForce Experience. If you have it running on your system uninstall it.

Thanks. The DirectX June 2010 installation made the game work for me. I'm surprised GoG didn't have that install along with the game to make sure it played for the user. Many gamers might request a refund, thinking the game is broken.

You're welcome :-)